Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Abstract This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domai...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2024-04-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-023-00585-0 |